Statistical Methods and Applications in Insurance and Finance: CIMPA School, Marrakech and Kelaat M’gouna, Morocco, April 2013

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M'hamed Eddahbi, El Hassan Essaky, Josep Vives
Springer, Apr 8, 2016 - Mathematics - 225 pages

This book is the outcome of the CIMPA School on Statistical Methods and Applications in Insurance and Finance, held in Marrakech and Kelaat M'gouna (Morocco) in April 2013. It presents two lectures and seven refereed papers from the school, offering the reader important insights into key topics. The first of the lectures, by Frederic Viens, addresses risk management via hedging in discrete and continuous time, while the second, by Boualem Djehiche, reviews statistical estimation methods applied to life and disability insurance. The refereed papers offer diverse perspectives and extensive discussions on subjects including optimal control, financial modeling using stochastic differential equations, pricing and hedging of financial derivatives, and sensitivity analysis. Each chapter of the volume includes a comprehensive bibliography to promote further research.

 

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Contents

A Didactic Introduction to Risk Management via Hedging in Discrete and Continuous Time
3
A Malliavin Calculus Approach and Numerics
39
VarianceGGC Asset Price Models and Their Sensitivity Analysis
81
Decomposition of the Pricing Formula for Stochastic Volatility Models Based on MalliavinSkorohod Type Calculus
103
Part II Insurance
124
Statistical Estimation Techniques in Life and Disability InsuranceA Short Overview
125
Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs
149
Sufficient Conditions of Optimality for ForwardBackward Doubly SDEs with Jumps
172
On the Pathwise Uniqueness of Solutions of OneDimensional Stochastic Differential Equations with Jumps
193
BSDE Approach for Dynkin Game and American Game Option
211
Statistical Methods and Applications in Insurance and Finance
226
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